by Paul Sweeting | Feb 25, 2011 | All, Articles, Library
This paper builds on the two-factor mortality model known as the Cairns-Blake-Dowd (CBD) model, which is used to project future mortality. It is shown that these two factors do not follow a random walk, as proposed in the original model, but that each should instead...
by Paul Sweeting | Nov 1, 2010 | All, Library, Working Papers
The popular beta-binomial approach to credibility offers an attractive way of combining the results of experience and risk rating. However, when applied to a particular age the information available from surrounding ages is ignored. In this paper I propose an...
by Paul Sweeting | Apr 1, 2010 | All, Library, Working Papers
Pension fund longevity risk is becoming increasingly important. Longevity indices would allow the creation of liquid derivatives that could be used to hedge this risk. However, there are a number of criteria that such indices would need to fulfil to provide an optimal...
by Paul Sweeting | Sep 1, 2009 | All, Articles, Library
The special tax treatment of United Kingdom pensions means that the decision on how to use pension assets is particularly involved. In particular, the ability to take up to 25% of pension assets as a tax-free cash lump sum at retirement, offers retirees opportunities...
by Paul Sweeting | Feb 1, 2009 | All, Library, Working Papers
This paper builds on the two‐factor model developed by Cairns et al (2006) for projecting future mortality. It is shown that these two factors do not follow a random walk, as proposed by Cairns et al, but should instead be modeled as a random fluctuation around a...
by Paul Sweeting | Dec 1, 2008 | All, Articles, Library
The purposes of this paper are to consider the effect on remuneration of defined benefit pension accrual and the factors that have resulted in changes to the cost and value of this accrual. In this paper, I look at the effect of the change in the cost to an employer...
by Paul Sweeting | Jun 1, 2008 | All, Library, Working Papers
The purpose of this paper is to give actuaries an easy‐to‐use approach to modelling stochastic mortality. Whilst the approach described can be used with tailor‐made projections, it can also be applied to published base tables and improvement factors. The methodology...
